Infla？？o inercial sob mudan？as de regime: análise a partir de um modelo MS-ARFIMA, 1944-2009

the main goal of this paper is search for the long run dependence in the brazilian inflation rate allowing regime switching by the ms-arfima model. the principal contribution of this paper is the simultaneous and consistent estimation of longmemory coefficient d and the several regimes that encompass them. the results enable us to conclude that there were two regimes in the brazilian economy with high persistence: hyperinflation regime and low inflation regime. the long run memory of inflation rate is dependent upon regime switching. the low inflation regime is the more persistent one.